Where did you add the domains? You mention router but you also mention OpenDNS so I assume you added that to a custom filter in your OpenDNS account? If so, your local DNS may be caching the previously requested names and/or your phone may also be using DNS from the wireless providers data network.

I think it would help if you provided more details about your setup.

Steven-Black - hosts - GitHub : https://github.com/StevenBlack/hosts

Pull all the (URL)s for Instagram from the lists.